Provided its the zebra cichlid from lake Malawi, you really shouldn't feed it live food much at all. They are more herbivorous fish, and can't process the protein found in live and frozen food or high protein staple foods. To be healthier they need to be fed a diet with a high content of vegetable matter. I suppose feeding frozen or live once and a while would be ok, but no more than maybe once a month or so. As far as what you could feed them live, mosquito larvae, bloodworms, brineshrimp. However, feeding frozen or freeze dried is safer as they aren't likely to carry diseases while the live may.
i've always heard that zebra mbuna are the fish that you absolutely don't want to feed live food, or feed it very sparingly. too much will make them sick with "bloat" and they could die. also, what he said about parasites and diseases. it is always fun to feed the mbuna fresh vegetables though, they love zucchini, lettuce, basically anything, and you don't have to worry about them getting sick from it.
Live foods, unless you CAREFULLY culture them yourself, are a world of pain and expense (BBS eggs are costly, but worth it, and if you blow it with a bad batch of worms, the expense and pain recooping from that episode will put you back some benjamins and maybe your beloved fishes.)
Lamprologus Brichardi, a tanganyikan rocky-to-open spawning fish will produce prodigious feeders. Convicts are also an excellent source of live food. Guppies are only okay, since they don't produce enough fry for regular feedings. Failed color morphs from a guppy breeding program can always be fed as near adults to larger fish, such as sciaenochromis fryeri, the heros complex, etc...
IME, IMO, stay away from live worms and tub collected mosquito larvae. At least in the USA, mosquito's now readily carry enough encephalitis viruses such as West Nile, to avoid. Outdoors cultured live foods of any kind can still carry the many parasites we, as good aquaria husbands, try so hard to avoid, such as trematodes, nemotodes, flagelytes and so on.
If you want to feed a "Wild Kingdom" diet, set-up a 20-30g tank for the purpose.
Oh, your "Zebra Cichlid" is likely the Mbuna Pseudotropheus Estherae, which should be fed "Live" lettuce, spinache, and zuchini's as Biogirland and NatakuTseng mentioned!
A staple of a quality spirulina flake is 90% of what they need. The remaining diet may include; burussel sprouts, squash, alpha sprouts, broccoli, pumpkin flesh (for color), collard greens, beet tops, swiss chard, peas, cabbage, etc!
Anything with seeds, should be de-seeded. Flash boil them to kill surface fungus so it doesn't "hair up" too soon.